Consider three assets assets described as follows. Asset i 4. Expected Return on Asset i ,...
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Consider three assets assets described as follows. Asset i 4. Expected Return on Asset i σ, Volatility of Return on Asset i 1 16% 16% 2 20% 12% 3 5% 14% The correlation coefficients are and the covariance matrix is P1,2=-18%, P1,3 = 9.00000000000001%, P2,3 = -18%. 0.0256 -0.003456 0.002016 Σ= -0.003456 0.0144 -0.003024 0.002016 -0.003024 0.0196 What is the mean and standard devation of the return on the minimum variance portfolio? P= % to 2 decimal places % to 2 decimal places Consider three assets assets described as follows. Asset i 4. Expected Return on Asset i σ, Volatility of Return on Asset i 1 16% 16% 2 20% 12% 3 5% 14% The correlation coefficients are and the covariance matrix is P1,2=-18%, P1,3 = 9.00000000000001%, P2,3 = -18%. 0.0256 -0.003456 0.002016 Σ= -0.003456 0.0144 -0.003024 0.002016 -0.003024 0.0196 What is the mean and standard devation of the return on the minimum variance portfolio? P= % to 2 decimal places % to 2 decimal places
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Related Book For
Statistics For The Life Sciences
ISBN: 9780321989581
5th Edition
Authors: Myra Samuels, Jeffrey Witmer, Andrew Schaffner
Posted Date:
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